Please note this syllabus is a draft. The final syllabus will be distributed the first of class and could be adjusted during the course.

2) Futures Markets

3) Hedging Strategies using futures

4) Interest Rates

5) Determination of Forward and Futures prices

6) Interest Rate Futures (IRS)

7) Swaps

8) The Option Market

9) The Binomial Trees

10) The Black-Scholes-Merton model

11) Stock indices and currency options

12) The Greek Letters

13) Volatility

14) VAR

15) Estimating volatilities and correlations

16) Credit Derivatives

Upon successful completion of the course a student will be able to:

·      Understand the importance of derivative instruments in business and the economy.

·      Understand the mechanics of derivative instruments and the markets in which they trade.

·      Be able to apply derivatives pricing models using real world data.

·      Be able to effectively illustrate and apply derivative hedging strategies.

·      Understand and apply speculative strategies using derivatives.

ATTENDANCE REQUIREMENTS AND EXAMINATION POLICY
You cannot make-up a major exam (midterm or final) without the permission of the Dean’s Office. The Dean’s Office will grant such permission only when the absence was caused by a serious impediment, such as a documented illness, hospitalization or death in the immediate family (in which you must attend the funeral) or other situations of similar gravity. Absences due to other meaningful conflicts, such as job interviews, family celebrations, travel difficulties, student misunderstandings or personal convenience, will not be excused. Students who will be absent from a major exam must notify the Dean’s Office prior to that exam. Absences from class due to the observance of a religious holiday will normally be excused. Individual students who will have to miss class to observe a religious holiday should notify the instructor by the end of the Add/Drop period to make prior arrangements for making up any work that will be missed.

Attendance at lectures and participation in class discussion is strongly encouraged. Students who miss more than 6 classes normally do not do well in the course.  The final exam is comprehensive so students who miss 6 classes or less will have the option of dropping TWO of the lowest grades of Exams 1 and/or 2 and shifting the weights to the comprehensive final exam.  The instructor will automatically do this when assigning the final grade. Students who miss an exam (with a formal excuse from the Dean's Office) will shift the weight to the final exam. No make-up exams will be given.  See the University's policies for missed exams and refer to the Associate Dean. Students must bring (and use) a basic calculator to class that includes the exponential function. During class no electronic devices are allowed unless there is a specific project we are working on which will be indicated by the instructor or if using a tablet to take notes.  Cell phones and other electronic devices may not be used during an exam. No eating or drinking in class.